Search found 1 match
- Mon Sep 28, 2015 12:08 pm
- Forum: Estimation
- Topic: Garch "day of the week effect"
- Replies: 5
- Views: 11502
Re: Garch "day of the week effect"
Hi, I'm a new one to this forum. I also doing a same research to examine the day of the week effect on ASPI index (Sri lanka). As you guys discussed above i have created a dummy variable for the week days using @expand command. But when i open my return series and that group dummy variable as a grou...